In financial markets, it is the probability measure that depends on observation of market prices in the real life convext (i.e, real world), rather than using assumptions such as risk-free rate and arbitrage-free settings. The historical data/ observations used in calculation of probabilities are said to be deployed in a real world setting. Arriving at real world measure is not an easy task. An analyst can depend on market signals such as equity market signals.
It is also known as p-measure, statistical measure, market measure, actual measure, physical measure, historical measure, etc.
